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Fall 2017 Statistics GR5261 section 001

Call Number 82548
Day & Time
F 10:10am-12:55pm
203 Mathematics Building
Points 3
Approvals Required None
Instructor Hammou Elbarmi
Course Description Prerequisites: STAT GR5204 or the equivalent. STAT GR5205 is recommended. A fast-paced introduction to statistical methods used in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures. Topics include regression analysis and applications to the Capital Asset Pricing Model and multifactor pricing models, principal components and multivariate analysis, smoothing techniques and estimation of yield curves statistical methods for financial time series, value at risk, term structure models and fixed income research, and estimation and modeling of volatilities. Hands-on experience with financial data.
Web Site CourseWorks
Department Statistics
Enrollment 64 students (86 max) as of 7:01PM Saturday, September 23, 2017
Subject Statistics
Number GR5261
Section 001
Division Interfaculty
Open To Graduate School of Arts and Science
Campus Morningside
Section key 20173STAT5261W001

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SIS update 09/23/17 19:01    web update 09/24/17 15:03